While researching this project, I came across a extremely well written post by Gregory Gundersen. I can’t imagine doing it better within any reasonable time frame. So, I’m going to table this project and link to his page so others can see his great work on the topic.

At some point, I may add some guardrails in the code or adapt them to demonstrate some Greeks to help students understand his material when I assign it. For now, however, please visit his page.

Gregory Gundersen on Option Pricing

I may also adapt some of his code to show the different steps of the binary tree, the values at those nodes, and use this to illustrate option pricing. However, since his work is so thorough already, I’m going to return to that side project when I have time.